Conference proceedings

Proximity Of Barrier Option Prices In Discrete And Continuous Time

Year:

2009

Published in:

5th Conference in Actuarial Science and Finance on Samos

Authors:

,

barrier options

path-dependent options

knock-in and knock-out

pricing methods

convergence rate

We estimate the difference between barrier option prices in a continuous time market model and in a discrete time binomial market model. As an auxilliary result, we estimate the difference between barrier option prices in a continuous time market and in a discrete time Gaussian market.

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